Adaptive optimal allocation in stratified sampling methods

Details Adaptive optimal allocation in stratified sampling methods Adaptive optimal allocation in stratified sampling methods

2007-11-28

arxiv.org/abs/0711.4514v2

Statistics

Methodology

Scientific paper

In this paper, we propose a stratified sampling algorithm in which the random drawings made in the strata to compute the expectation of interest are also used to adaptively modify the proportion of further drawings in each stratum. These proportions converge to the optimal allocation in terms of variance reduction. And our stratified estimator is asymptotically normal with asymptotic variance equal to the minimal one. Numerical experiments confirm the efficiency of our algorithm.

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